BNY Mellon (Ireland) Risk Analysis And Volatility Evaluation

F00000S937 -- Ireland Fund  

EUR 2.07  0.03  1.47%

Our approach towards foreseeing volatility of a fund is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for BNY Mellon Japan Sm Cap Focus I EUR Hdg which you can use to evaluate future volatility of the entity. Please confirm BNY Mellon Japan Risk Adjusted Performance of 0.0019 and Mean Deviation of 0.3295 to double-check if risk estimate we provide are consistent with the epected return of 0.0%.
 Time Horizon     30 Days    Login   to change

BNY Mellon Market Sensitivity

As returns on market increase, returns on owning BNY Mellon are expected to decrease at a much smaller rate. During bear market, BNY Mellon is likely to outperform the market.
One Month Beta |Analyze BNY Mellon Japan Demand Trend
Check current 30 days BNY Mellon correlation with market (DOW)
β = -0.1231
BNY Mellon Almost negative betaBNY Mellon Japan Beta Legend

BNY Mellon Japan Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, BNY Mellon Japan Sm Cap Focus I EUR Hdg has beta of -0.1231 suggesting as returns on benchmark increase, returns on holding BNY Mellon are expected to decrease at a much smaller rate. During bear market, however, BNY Mellon Japan Sm Cap Focus I EUR Hdg is likely to outperform the market. Moreover, BNY Mellon Japan Sm Cap Focus I EUR Hdg has an alpha of 0.0098 implying that it can potentially generate 0.0098% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.0098
β
Beta against DOW=0.12
σ
Overall volatility
=0.00
Ir
Information ratio =0.25

Actual Return Volatility

BNY Mellon Japan Sm Cap Focus I EUR Hdg accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 0.5977% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

BNY Mellon Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

BNY Mellon Investment Opportunity
DOW has a standard deviation of returns of 0.6 and is 9.223372036854776E16 times more volatile than BNY Mellon Japan Sm Cap Focus I EUR Hdg. 0% of all equities and portfolios are less risky than BNY Mellon. Compared to the overall equity markets, volatility of historical daily returns of BNY Mellon Japan Sm Cap Focus I EUR Hdg is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use BNY Mellon Japan Sm Cap Focus I EUR Hdg to enhance returns of your portfolios. The fund experiences large bullish trend. Check odds of BNY Mellon to be traded at €2.28 in 30 days. As returns on market increase, returns on owning BNY Mellon are expected to decrease at a much smaller rate. During bear market, BNY Mellon is likely to outperform the market.

BNY Mellon correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding BNY Mellon Japan Sm Cap Focus and equity matching DJI index in the same portfolio.
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